does replay at x500 skip ticks compared to real time?

[christophe]

I am getting unconstient results between replay of past the month at x500 and the performance it generated on a simulated account running live.
Does the speed of the replay affect the outcome?
I am using kagi charts by the way

Thanks

[NinjaTrader_MichaelM]

Hello christophe,

Thank you for writing in. To clarify, are you saying that your are getting inconsistent results between market replay at 500x and market replay at regular speed? Or between market replay at 500x and live realtime data and if so, is your market replay data recorded from the same data provider you are comparing against live?

Time-independent bar styles such as Kagi are mostly built from information received from tick-data, and each bar’s time stamp is only dependent on when the condition for these bars to “close” was reached. As such one bar may take 1 minute 32 seconds to “close”, the next may take 1 minute 14 seconds to “close”.

As a side effect, when reloading this style of chart you may notice differences in the way the bars plot as “time independent” charts are sensitive to their initial starting point. I.e. there may be some missing ticks that would have built the first bar on your chart differently and it cascades through the whole chart.

Thank you in advance.

[christophe]

Yes Michael I meant 500x play vs live (maybe the speed isn't the issue)
the replay was downloaded using www.marketreplaydata.com and live from Interactive brokers

[NinjaTrader_MichaelM]

Hello christophe,

It is possible that MarketReplayData.com uses a different data provider for the data you download using their service. You may wish to check with them to see if they use Interactive Brokers as their data provider or not.

Different data feeds produce different charts, especially when using tick based intervals vs time based intervals. Market data vendors each employ various methods for tick filtering, throttling and time stamping. As a result, no data stream is 100% identical and thus can cause subtle differences in charts. Since NinjaTrader supports many of the leading brokerage and data feed technologies, it is highly likely that two traders using NinjaTrader on different data feeds will have minor differences when plotting the same market and time interval.

Please see this link in our help guide for more information on discrepancies between data providers: http://ninjatrader.com/support/helpG..._are_built.htm

Because kagi charts are built using tick data, the effect quoted above is intensified and can easily cause noticeable differences in your strategy performance.

Please let me know if you have any further questions.

[sledge]

How many are you trading? Market or limit orders? Is enforce immediate fills turned on?